Intech’s COVID-19 Response Update Read Now

Please Choose Your Country

Welcome. This website is intended solely for the use of institutional investors, consultants and other professionally recognized financial intermediaries in specific countries. Intech Investment Management LLC (“Intech”), is an investment adviser registered with the United States Securities & Exchange Commission. Intech is not permitted to offer products and services in all countries. It is the responsibility of prospective investors to inform themselves of and to observe all applicable laws and regulations of any relevant jurisdictions, including the legal requirements and tax consequences within the countries of their citizenship, residence, domicile and place of business with respect to the acquisition, holding or disposal of shares or securities, and any foreign exchange restrictions that may be relevant thereto. The products and services referred to in this website are not offered to any person or entity in any jurisdiction where the advertisement, offer or sale of such products and services is restricted or prohibited by law or regulation or where we would be subject to any registration or licensing requirement not currently held by Intech or our affiliates. If Intech does not offer a website for your country, please visit

For U.S. and Canadian Institutional Investors Only

Not your country? Please choose your country here.

Information contained in this area of the Website is published solely for general informative purposes and intended only for United States and Canadian institutional investors, consultants, financial advisers, and other intermediaries who are who are knowledgeable and experienced in the financial services market and in investment products of this nature. If you are a retail, individual investor or non-ultra-high net worth individual then please leave this website immediately. The information is not authorized for use in a jurisdiction where distribution is not authorized and is not intended for distribution to retail clients, the general public or retail investors. If you choose to access this Website from locations outside of the United States or Canada, you do so at your own initiative and risk, and are responsible for compliance with all applicable laws.

U.S. Institutional Investors: By accessing this site you confirm that you are an U.S. Institutional Investor, you agree not to forward or make the contents of this site available to any person who is not an U.S. Institutional Investor, and you agree to be subject to terms of use.

Canadian Institutional Investors: By accessing this site you confirm that you are a “permitted client” as defined in National Instrument 31-103 Registration Requirements, Exemptions and Ongoing Registrant Obligations of the Canadian Securities Administrators, you agree not to forward or make the contents of this site available to any person who is not a “permitted client”, and you agree to be subject to terms of use. The information on this Website is for informational purposes only and does not constitute (i) an offer for products or services or (ii) the provision of investment advice of any kind, tailored or otherwise. The information on this Website should also not be construed as an offer to sell or a solicitation of an offer to buy to any persons who are prohibited from receiving such information under the laws applicable to their place of citizenship, domicile or residence. Intech Investment Management LLC (“Intech”) does not have any funds that offer securities under a simplified prospectus for general offer or sale within Canada. No securities regulatory authority in Canada has reviewed or in any way passed upon this website or the merits of any investment available, and any representation to the contrary is an offense. Intech is registered with the United States Securities & Exchange Commission under the Investment Advisers Act of 1940. Intech is a subsidiary of Janus Henderson Group plc, and is affiliated with its subsidiaries and affiliates.

Decline - Redirect me to

With the increasing interest in reducing the risks of equity exposure and the so-called low volatility anomaly, investors have been looking for ”objective“ representations of such a portfolio. And the big three providers: S&P, Dow Jones, FTSE Russell, and MSCI have been more than happy to oblige. But are they interchangeable proxies for defensive investing, or unique approaches to portfolio construction that yield commensurately unique outcomes?

Contrasting Construction

Even a brief glance makes it obvious that unlike cap-weighted indexes, which generally feature similar construction methodologies, there’s a clear divergence in approaches here. Let’s get to know the major offerings:



S&P is perhaps the most straightforward, selecting the least volatile stocks and weighting them in inverse proportion to that same metric. FTSE’s Minimum Variance offerings are quantitatively optimized for lowest absolute volatility. So too are MSCI’s Minimum Volatility indexes, but MSCI applies different constraints, and combines its Barra Equity Models as part of the process. As you might expect, they can result in very different portfolios (see figure 2).




Results May Vary

Given the discrepancies in holdings, you might assume their performance results also differ significantly. You’d be correct, though you might not know it by looking at shorter periods or long-term annualized results. It’s the contours within those periods that best illustrate their variability over different market environments.

Let’s look at volatility first. Figure 3 plots the rolling 3-year volatility of U.S. and Global defensive indexes as well as an equivalent cap-weighted parent index.




While all show reduced volatility relative to a comparable cap-weighted index, it is clear that there can be substantial differences between the level of volatility reduction of the defensive equity indexes. This is especially apparent during periods of market stress, which is precisely the time when defensive equity allocations should be expected to earn their keep.

It may also be hard to know in advance which one will do better under which circumstances. As figure 3 shows, the MSCI USA Minimum Volatility Index was better at reducing volatility during the prolonged volatility spike associated with the bursting of the Technology bubble in 2000, whereas the S&P 500 Low Volatility Index was more resilient during the turbulence of the Global Financial Crisis.1

Such differences also manifest as significant differences in returns – as seen in figure 4. This substantial variability in the short-term relative returns between the two pairs of U.S. and Global low-volatility indexes translates into a high tracking error between the portfolios.




The extent of the difference in volatility and returns between indexes of the same region, while purporting to have the same objective of reducing volatility, is strong evidence that defensive equity investing is not a generic commodity that can be replaced by some universally accepted passive substitute. Unlike cap-weighted indexing, the defensive equity index investor’s experience will vary considerably depending on their choice of index provider. The differences are as considerable as the differences in performance one might expect to experience between aggressive active managers and a cap-weighted index.

Can You Do Better?

Most defensive equity indexes are promoted as passive-like portfolios designed as an entry-level exposure to lower volatility stocks, but they commonly make concessions in construction in the interest of investability. Do these concessions represent an opportunity to improve upon their outcomes? How can an active manager do better? Learn more by downloading our paper entitled, “Making Sense of Defensive Equity Indexes.”

Making Sense of Defensive Equity Indexes  A closer examination of the major defensive equity indexes. Download Paper


1 Some of these differences in results may also stem from the variation in number of stocks held by their parent indexes, which influences relative exposure to size, certain sectors, etc.
The information expressed herein is subject to change based on market and other conditions. The views presented are for general informational purposes only and are not intended as investment advice, as an offer or solicitation of an offer to sell or buy, or as an endorsement, recommendation, or sponsorship of any company, security, advisory service, or fund nor do they purport to address the financial objectives or specific investment needs of any individual reader, investor, or organization. This information should not be used as the sole basis for investment decisions. All content is presented by the date(s) published or indicated only, and may be superseded by subsequent market events or other reasons. Past performance is no guarantee of future results. Investing involves risk, including possible loss of principal and fluctuation of value. Hypothetical performance results presented are for illustrative purposes only. Hypothetical performance is not real and has many inherent limitations. It does not reflect the results or risks associated with actual trading or the actual performance of any portfolio and has been prepared with the benefit of hindsight. Therefore, there is no guarantee that an actual portfolio would have achieved the results shown. In fact, there will be differences between hypothetical and actual results. No investor should assume that future performance will be profitable, or equal to the results shown. Hypothetical results do not reflect the deduction of advisory fees and other expenses incurred in the management of a portfolio.